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arXiv · 2502.21199

Negative correlations in Ising models of credit risk

Chiara Emonti·Roberto Fontana
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Abstract

We analyze a subclass of Ising models in the context of credit risk, focusing on Dandelion models when the correlations $\rho$ between the central node and each non-central node are negative. We establish the possible range of values for $\rho$ and derive an explicit formula linking the correlation between any pair of non-central nodes to $\rho$. The paper concludes with a simulation study.

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Chiara Emonti, Roberto Fontana. 2025-02-28. Negative correlations in Ising models of credit risk. https://arxiv.org/abs/2502.21199

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